Benchmark fallbacks are replacement rates that would apply to derivatives trades referencing a particular benchmark. These would take effect if the relevant benchmark becomes unavailable while market participants continue to have exposure to that rate. Specific fallback rates are set out in the 2006 ISDA Definitions. ISDA is working on new robust fallbacks that would apply in the event of a permanent cessation of a key interbank offered rate (IBOR).
ISDA plans to publish a supplement to the 2006 ISDA Definitions in July to incorporate new fallbacks for derivatives that reference certain key interbank offered rates. Simultaneously, ISDA will publish a protocol that will allow market participants to choose to incorporate the revisions into their legacy derivatives trades.
Ahead of the publication, ISDA has published a new factsheet that explaining why changes to fallbacks are necessary.
Documents (1) for Factsheet: Understanding IBOR Benchmark Fallbacks
Latest
ISDA ALF: Katherine Tew Darras Opening Remarks
ISDA Annual Legal Forum New York, October 28, 2025 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to the Annual Legal Forum here in New York. Thank you for joining us today and thanks to...
ISDA 2025 – 2002 Equity Derivatives Definitions (Versionable Edition) Protocol Opens for General Adherence
ISDA has opened the general adherence phase for the ISDA 2025 – 2002 Equity Derivatives Definitions (Versionable Edition) Protocol. The protocol enables adherents to amend the terms of their equity derivatives master confirmation agreements to incorporate the 2002 ISDA Equity...
ISDA Comment on ICC Application as Clearing Agency
On October 6 ISDA submitted a comment letter to the Securities and Exchange Commission in response to the ICE Clear Credit (“ICC”) application for registration as a clearing agency under Section 17A of the Securities Exchange Act of 1934, including...
Paper on Enhancing Liquidity and Risk Management
As ISDA marks its 40th anniversary this year, it is an opportune time to reflect on the challenges and opportunities faced by the global derivatives markets over the past four decades. Rapid growth, continued innovation, regulatory reform, central clearing, margining,...